Live Trading with Grammatical Evolution

Created by W.Langdon from gp-bibliography.bib Revision:1.3872

@InProceedings{dempsey:2004:gew:idem,
  author =       "Ian Dempsey and Michael O'Neill and Anthony Brabazon",
  title =        "Live Trading with Grammatical Evolution",
  editor =       "R. Poli and S. Cagnoni and M. Keijzer and E. Costa and 
                 F. Pereira and G. Raidl and S. C. Upton and 
                 D. Goldberg and H. Lipson and E. {de Jong} and J. Koza and 
                 H. Suzuki and H. Sawai and I. Parmee and M. Pelikan and 
                 K. Sastry and D. Thierens and W. Stolzmann and 
                 P. L. Lanzi and S. W. Wilson and M. O'Neill and C. Ryan and 
                 T. Yu and J. F. Miller and I. Garibay and G. Holifield and 
                 A. S. Wu and T. Riopka and M. M. Meysenburg and 
                 A. W. Wright and N. Richter and J. H. Moore and 
                 M. D. Ritchie and L. Davis and R. Roy and M. Jakiela",
  booktitle =    "GECCO 2004 Workshop Proceedings",
  year =         "2004",
  month =        "26-30 " # jun,
  address =      "Seattle, Washington, USA",
  keywords =     "genetic algorithms, genetic programming, grammatical
                 evolution",
  URL =          "http://www.cs.bham.ac.uk/~wbl/biblio/gecco2004/WGEW001.pdf",
  size =         "9 pages",
  abstract =     "This study reports work in progress on the development
                 of an on-line evolutionary automatic programming
                 methodology for uncovering technical trading rules for
                 the S&P 500 index. The system adopts a variable sized
                 investment strategy based on the strength of the
                 signals produced by the trading rules. Rogue rules,
                 which generate excessive signals, led to poor market
                 activity. Here we examine the viability of a signal
                 decay constant to reduce the effect of rogue rules. The
                 results show that an aggressive decay rate yielded more
                 profitable results for the trading period January 1st
                 1991 to December 1st 1997.",
  notes =        "GECCO-2004WKS Distributed on CD-ROM at GECCO-2004",
}

Genetic Programming entries for Ian Dempsey Michael O'Neill Anthony Brabazon

Citations